What do you mean “Rust” in your question? If it’s a binary compiled from your Rust project, afaik windows considers binaries which isn’t signed with some registered keys a potential security hole. This doesn’t related much with the Rust compiler and also rustc can’t help you much(maybe there some cargo plugins for it?).

But if it’s the Rust compiler and official toolchains, It really seems like an issue for Rust internals. I don’t use windows currently so I can’t say much for it neither. But core teams consider windows support very important, your report will be very helpful to them.

Security is a complex topic, and you can’t rely on windows to decide for you what is dangerous and what isn’t, it’s a guide at best. You should invest time in understanding security. If you downloaded a binary from https://rust-lang.org, you can be sure that only the person with the certificate can communicate with you. There is also work going on w.r.t. reproducible builds so you can verify the compiler by building it yourself and checking the bytes match.